Backtrader：用feather格式股票数据代替tushare进行数据回测

用tushare虽然方便，但毕竟不是本机数据，可能受网速、权限等各方面的限制。前面我们有这篇文章：

通达信日线数据转换为feather格式，提高后续数据处理速度https://blog.csdn.net/bq_cui/article/details/122730357?spm=1001.2014.3001.5501介绍了如何把通达信日线数据转换为feather格式。我们这次使用转换好的feather格式数据来进行数据回测。

如果没有feather格式数据，请下载。使用feather格式后，运行速度显著提升。

运行结果：

期初资金: 100000.00
2021-01-22, Close, 7.37
2021-01-25, Close, 7.25
2021-01-26, Close, 7.21
2021-01-27, Close, 7.27
2021-01-28, Close, 7.19
2021-01-29, Close, 7.02
2021-02-01, Close, 7.08
2021-02-02, Close, 6.98
2021-02-03, Close, 6.69
2021-02-04, Close, 6.57
......
2021-12-13, 买入单, 8.67
2021-12-14, 已买入, 价格: 8.66, 费用: 8.66, 佣金 0.01
2021-12-14, Close, 8.78
2021-12-15, Close, 8.65
2021-12-16, Close, 8.42
2021-12-16, 卖出单, 8.42
2021-12-17, 已卖出, 价格: 8.40, 费用: 8.66, 佣金 0.01
2021-12-17, 交易利润, 毛利润 -0.26, 净利润 -0.28
2021-12-17, Close, 8.32
2021-12-20, Close, 8.37
2021-12-21, Close, 8.43
2021-12-22, Close, 8.47
2021-12-23, Close, 8.30
2021-12-24, Close, 8.53
2021-12-24, 买入单, 8.53
2021-12-27, 已买入, 价格: 8.53, 费用: 8.53, 佣金 0.01
2021-12-27, Close, 8.69
2021-12-28, Close, 8.61
2021-12-29, Close, 8.63
2021-12-30, Close, 8.73
2021-12-31, Close, 8.88
2022-01-04, Close, 8.95
2022-01-05, Close, 8.70
2022-01-06, Close, 8.97
2022-01-07, Close, 8.89
2022-01-10, Close, 8.84
2022-01-11, Close, 8.89
2022-01-12, Close, 9.26
2022-01-13, Close, 9.09
2022-01-14, Close, 9.17
2022-01-17, Close, 9.16
2022-01-18, Close, 8.77
2022-01-18, 卖出单, 8.77
2022-01-19, 已卖出, 价格: 8.75, 费用: 8.53, 佣金 0.01
2022-01-19, 交易利润, 毛利润 0.22, 净利润 0.20
2022-01-19, Close, 8.75
2022-01-20, Close, 8.65
2022-01-21, Close, 8.24
2022-01-24, Close, 8.10
2022-01-25, Close, 7.70
2022-01-26, Close, 7.64
2022-01-27, Close, 7.57
期末资金: 99999.28

代码：

# -*- coding: utf-8 -*-
"""
Created on Sat Feb  6 17:37:50 2022

@author: freepy
"""

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)
from datetime import datetime  # For datetime objects
# Import the backtrader platform
import backtrader as bt
import pandas as pd

# 创建策略继承bt.Strategy
class TestStrategy(bt.Strategy):
    params = (
        # 均线参数设置15天，15日均线
        ('maperiod', 15),
    )

    def log(self, txt, dt=None):
        # 记录策略的执行日志
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        # 保存收盘价的引用
        self.dataclose = self.datas[0].close
        # 跟踪挂单
        self.order = None
        # 买入价格和手续费
        self.buyprice = None
        self.buycomm = None
        # 加入均线指标
        self.sma = bt.indicators.SimpleMovingAverage(self.datas[0], period=self.params.maperiod)
 

    # 订单状态通知，买入卖出都是下单
    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            # broker 提交/接受了，买/卖订单则什么都不做
            return

        # 检查一个订单是否完成
        # 注意: 当资金不足时，broker会拒绝订单
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log(
                    '已买入, 价格: %.2f, 费用: %.2f, 佣金 %.2f' %
                    (order.executed.price,
                     order.executed.value,
                     order.executed.comm))

                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
            elif order.issell():
                self.log('已卖出, 价格: %.2f, 费用: %.2f, 佣金 %.2f' %
                         (order.executed.price,
                          order.executed.value,
                          order.executed.comm))
            # 记录当前交易数量
            self.bar_executed = len(self)

        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('订单取消/保证金不足/拒绝')

        # 其他状态记录为：无挂起订单
        self.order = None

    # 交易状态通知，一买一卖算交易
    def notify_trade(self, trade):
        if not trade.isclosed:
            return
        self.log('交易利润, 毛利润 %.2f, 净利润 %.2f' %
                 (trade.pnl, trade.pnlcomm))

    def next(self):
        # 记录收盘价
        self.log('Close, %.2f' % self.dataclose[0])

        # 如果有订单正在挂起，不操作
        if self.order:
            return

        # 如果没有持仓则买入
        if not self.position:
            # 今天的收盘价在均线价格之上 
            if self.dataclose[0] > self.sma[0]: 
                # 买入
                self.log('买入单, %.2f' % self.dataclose[0])
                    # 跟踪订单避免重复
                self.order = self.buy()
        else:
            # 如果已经持仓，收盘价在均线价格之下
            if self.dataclose[0] < self.sma[0]:
                # 全部卖出
                self.log('卖出单, %.2f' % self.dataclose[0])
                # 跟踪订单避免重复
                self.order = self.sell()

start = '2020-01-01'
end = '2022-01-31'

def get_data(code, start_date, end_date):
    df_tdx = pd.read_feather(r'./dataout/tdx/'+code+r'.day.feather')
    df_tdx.index=pd.to_datetime(df_tdx.date, format = '%Y%m%d')
    df_tdx_b=df_tdx.truncate(before=start_date, after = end_date)
    df_tdx_b['openinterest']=0
    df_tdx_b.rename(columns={'vol':'volume'}, inplace = True)
    df_tdx_b=df_tdx_b[['open','high','low','close','volume','openinterest']]
    return df_tdx_b

dataframe=get_data('sh600851', datetime.strptime(start,'%Y-%m-%d'), datetime.strptime(end,'%Y-%m-%d'))

if __name__ == '__main__':
	
    # 初始化cerebro回测系统设置
    cerebro = bt.Cerebro()

    # 取得股票历史数据
    data = bt.feeds.PandasData(dataname=dataframe, fromdate = datetime.strptime(start,'%Y-%m-%d'), todate = datetime.strptime(end,'%Y-%m-%d'))
	
    # 为Cerebro引擎添加策略
    cerebro.addstrategy(TestStrategy)
    # 加载交易数据
    cerebro.adddata(data)
	
	# 设置投资金额
    cerebro.broker.setcash(100000.0)
    # 设置佣金为0.001,除以100去掉%号
    cerebro.broker.setcommission(commission=0.001)
	
    #获取回测开始时的总资金
    print('期初资金: %.2f' % cerebro.broker.getvalue())
    #运行回测系统
    cerebro.run()
    #获取回测结束后的总资金
    print('期末资金: %.2f' % cerebro.broker.getvalue())